Filtered Historical Simulation Platform(FHS)

The Filtered Historical Simulation Platform can run on Windows and Mac OS X operating systems and on systems ranging from a smart phone (iPhone etc) up to large mainframes. On a 64 bit operating system with fast processor and large amounts of ram it can run a 1 million trials multi step 10 day simulation for 100 risk factors, 10,000 Positions, 150 portfolios in less than ten minutes

A powerful 64 bit desktop PC with 48GB of ram and SSDs for storage should be capable of a million scenarios.

Processing for a Selected Day

The FHS platform can run with daily, intraday, or real time data. It can generate millions of scenarios for the risk factors, the FX rates and the implied volatilities. For each day in the risk horizon. It produces confidence intervals for risk estimates on the tails, such as expected shortfall and joint default rates.